LII Options History — December 2009

In December 2009, LII traded between $36.72 and $40.76. ATM implied volatility averaged 29.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.2% (HV 20d: 23.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2009-12-18: Highest Volume — 787 contracts
2009-12-08: Largest IV spike — 19.6% change
2009-12-09: Highest IV Rank — 21.5%
2009-12-02: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.56	$36.72	$40.76	$37.49	$39.04
Max Pain	$39.32	$35.00	$40.00	$35.00	$40.00
ATM IV	29.8%	24.5%	37.1%	34.9%	24.5%
Expected Move	8.6%	7.0%	10.3%	10.0%	7.0%
HV 20d	23.6%	19.6%	29.9%	29.9%	20.5%
HV 60d	27.5%	25.8%	28.0%	27.9%	25.8%
IV Rank	7.4%	0.0%	21.5%	15.8%	0.0%
IV Percentile	7.1%	0.0%	35.7%	19.4%	0.0%
Term Structure	3.1%	1.0%	12.8%	2.8%	4.5%
VWIV	28.6%	25.9%	35.1%	35.1%	25.9%
Skew 25d	3.8%	0.8%	11.1%	0.8%	2.6%
Skew 10d	8.1%	1.1%	24.2%	3.3%	3.3%
Call IV 25d	30.4%	23.8%	35.5%	33.9%	23.8%
Put IV 25d	34.3%	26.4%	36.9%	34.7%	26.4%
Bid-Ask Spread %	69.14	52.84	88.25	72.49	88.25
Gamma HHI	0.73	0.50	0.98	0.56	0.83
Net GEX	108.3K	48.5K	593.5K	98.6K	68.8K
Net DEX	-2.1M	-3.6M	-739.8K	-2.4M	-739.8K
Net VEX	-4.4K	-5.5K	-2.8K	-4.6K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	2.00	0.00	0.48
Total Volume	58.591	0	787	0	0
Total OI	1,226	814	1,574	1,358	924

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-12-01	$37.49	$35.00	34.9%	10.0%	29.9%	15.8%	0.0%	0.8%	2.8%	98.6K	-2.4M	-4.6K	0.00	72.49	0	0	1,057	301
2009-12-02	$37.34	$35.00	35.8%	10.3%	26.8%	17.3%	0.0%	0.9%	1.1%	103.4K	-2.3M	-4.8K	0.00	68.10	0	0	1,057	301
2009-12-03	$37.26	$35.00	30.0%	8.6%	26.3%	6.8%	0.0%	1.7%	12.8%	100.3K	-2.3M	-4.7K	0.00	71.31	0	0	1,057	301
2009-12-04	$37.85	$40.00	29.8%	9.1%	25.3%	6.3%	0.0%	3.1%	2.3%	99.4K	-2.6M	-4.3K	0.00	54.59	55	0	1,057	301
2009-12-07	$37.19	$40.00	29.9%	10.1%	26.0%	6.7%	0.0%	1.7%	2.2%	112.2K	-2.4M	-4.2K	0.00	52.84	0	4	1,112	301
2009-12-08	$36.72	$40.00	35.8%	10.2%	25.3%	18.8%	0.0%	0.0%	2.1%	124.3K	-2.2M	-4.2K	0.00	53.91	0	0	1,112	297
2009-12-09	$36.94	$40.00	37.1%	10.2%	25.4%	21.5%	0.0%	8.6%	3.0%	122.8K	-2.3M	-3.9K	2.00	61.89	5	10	1,112	297
2009-12-10	$37.00	$40.00	34.8%	10.0%	25.1%	16.8%	35.1%	11.1%	2.5%	116.3K	-2.3M	-3.8K	0.00	56.10	0	1	1,112	297
2009-12-11	$37.52	$40.00	30.5%	8.8%	25.3%	8.4%	0.0%	2.6%	3.4%	59.8K	-2.7M	-3.0K	0.00	58.73	10	0	1,112	298
2009-12-14	$38.00	$40.00	29.7%	8.5%	25.2%	6.8%	30.5%	0.0%	2.7%	48.5K	-2.8M	-2.8K	0.00	63.22	118	0	1,112	298
2009-12-15	$38.41	$40.00	30.8%	8.8%	21.9%	9.0%	0.0%	0.0%	1.8%	53.2K	-3.0M	-3.3K	0.00	58.60	20	0	1,149	298
2009-12-16	$39.07	$40.00	31.4%	9.0%	22.8%	10.1%	0.0%	0.0%	1.0%	83.4K	-3.2M	-3.6K	0.00	69.24	20	0	1,169	298
2009-12-17	$39.46	$40.00	26.6%	7.6%	22.9%	0.7%	26.6%	0.0%	4.6%	150.3K	-3.3M	-3.5K	0.75	64.79	67	50	1,181	298
2009-12-18	$40.00	$40.00	28.5%	8.2%	21.4%	4.5%	28.5%	0.0%	2.1%	593.5K	-3.6M	-3.8K	0.01	78.51	777	10	1,226	348
2009-12-21	$39.28	$40.00	27.3%	7.8%	22.4%	2.1%	27.3%	0.0%	1.4%	56.1K	-831.6K	-5.2K	0.79	69.31	28	22	584	230
2009-12-22	$39.66	$40.00	26.4%	7.6%	22.6%	0.2%	26.4%	0.0%	2.7%	61.4K	-926.9K	-5.5K	1.25	79.91	8	10	612	252
2009-12-23	$39.87	$40.00	25.9%	7.4%	21.3%	0.0%	25.9%	0.0%	3.1%	62.4K	-991.5K	-5.5K	0.00	60.33	7	0	620	262
2009-12-24	$40.76	$40.00	24.8%	7.1%	21.8%	0.0%	0.0%	0.0%	3.2%	64.7K	-1.3M	-5.4K	0.48	84.48	21	10	618	262
2009-12-28	$40.18	$40.00	26.9%	7.7%	21.0%	4.0%	0.0%	0.0%	2.5%	68.8K	-1.2M	-5.5K	0.00	82.98	0	35	639	262
2009-12-29	$39.80	$40.00	26.7%	7.6%	19.6%	3.6%	0.0%	0.0%	3.4%	66.9K	-953.0K	-5.5K	0.00	87.32	0	0	639	285
2009-12-30	$39.57	$40.00	26.9%	7.7%	19.8%	4.0%	0.0%	0.0%	3.1%	67.1K	-892.4K	-5.5K	0.00	84.16	0	1	639	285
2009-12-31	$39.04	$40.00	24.5%	7.0%	20.5%	0.0%	0.0%	0.0%	4.5%	68.8K	-739.8K	-5.3K	0.00	88.25	0	0	639	285